News & Research

Direct indexing continues to gain momentum as an investment strategy for its potential to provide higher post-tax returns and portfolio customization. Direct indexing strategies with active tax management target higher post-tax portfolio returns by achieving pre-tax investment goals with lower tax costs. In this paper, we investigate the benefit of active tax management for direct indexing strategies tracking broad cap-weighted equity market indices.

Risk management solutions can deliver a myriad of quantitative reports at any level and users often get bogged down with very detailed statistics about all aspects of their strategy, bypassing the important insight provided by summary metrics on their portfolios.

Our analysis shows how an optimized sustainability index can decrease active risk and free up more of the risk budget to be allocated to the desired sustainability metric(s), making the resulting portfolio a suitable replacement for a traditional benchmark.

This article provides a high-level refresher of what tracking error means, and how we can embed it directly into portfolio construction.

Our analysis shows how an optimized sustainability index can decrease active risk and free up more of the risk budget to be allocated to the desired sustainability metric(s), making the resulting portfolio a suitable replacement for a traditional benchmark.

As part of a partnership between CEPRES and Qontigo, a new suite of factor risk models that provide broad coverage of the private asset fund space is now available in Axioma Risk, Qontigo’s enterprise risk management platform.

Throughout 2022 and into 2023, the EM gauge has shown lower forecast and realized volatility than the global DM benchmark. A new whitepaper investigates the drivers of this anomaly.

This paper investigates the effectiveness of a proxy for the new SDI Innovation Outlook score in predicting equity returns and enabling the construction of outperforming portfolios.

In this paper, our goal is to show how sustainability ETF exposures to a number of sustainability-related factors may vary. It is eminently clear to us that investors with a view about key sustainability features cannot rely on the fund name, but instead need to do more digging into whether their fund meets the required criteria.

In this research paper, we showcase how a portfolio manager can replicate fixed income indices using the Axioma Portfolio Optimizer and the Axioma Credit Spread Factor Risk Model. We replicate a US high yield index with liquid bonds and a set of derivatives and test the solution from a risk perspective. The end goal is to create a set of portfolios that is more cost efficient, as (or more) liquid and as diversified as the index.

This paper focuses on creating SDG portfolios that maximize exposure to one, two or all SDGs. The study shows that it is quite possible to create a portfolio that significantly improves the exposure to SDGs without taking on too much active risk. An optimizer can help manage that active risk.

Another tech bubble may be about to burst, triggering a US recession. There are multiple similarities between the current tech bubble and the dot-com bubble. This time, however, the Fed cannot leverage interest-rate cuts to put the brakes on a market decline, due to the current record-high inflation combined with low interest rates.